{"title":"基于消费的资产定价稳健推理","authors":"Tim A. Kroencke","doi":"10.2139/ssrn.3562169","DOIUrl":null,"url":null,"abstract":"Kleibergen and Zhan (Robust Inference for Consumption-based Asset Pricing, Journal of Finance, 2020) propose a new approach to test consumption-based asset pricing models that is robust to the useless factor problem, i.e. concluding that a factor is priced when the factor is actually uncorrelated with the test assets. They find that recently proposed factors do not pass their test, which they attribute to a lack of factor correlation with the test assets. This conclusion is odd, as the factor correlation is significant and economically large, often 0.40 and above. Instead, I show that their testing approach lacks power in small samples. I propose simple remedies that help to achieve robust consumption-based asset pricing that comes with power.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"On Robust Inference for Consumption-based Asset Pricing\",\"authors\":\"Tim A. Kroencke\",\"doi\":\"10.2139/ssrn.3562169\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Kleibergen and Zhan (Robust Inference for Consumption-based Asset Pricing, Journal of Finance, 2020) propose a new approach to test consumption-based asset pricing models that is robust to the useless factor problem, i.e. concluding that a factor is priced when the factor is actually uncorrelated with the test assets. They find that recently proposed factors do not pass their test, which they attribute to a lack of factor correlation with the test assets. This conclusion is odd, as the factor correlation is significant and economically large, often 0.40 and above. Instead, I show that their testing approach lacks power in small samples. I propose simple remedies that help to achieve robust consumption-based asset pricing that comes with power.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-10-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3562169\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3562169","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On Robust Inference for Consumption-based Asset Pricing
Kleibergen and Zhan (Robust Inference for Consumption-based Asset Pricing, Journal of Finance, 2020) propose a new approach to test consumption-based asset pricing models that is robust to the useless factor problem, i.e. concluding that a factor is priced when the factor is actually uncorrelated with the test assets. They find that recently proposed factors do not pass their test, which they attribute to a lack of factor correlation with the test assets. This conclusion is odd, as the factor correlation is significant and economically large, often 0.40 and above. Instead, I show that their testing approach lacks power in small samples. I propose simple remedies that help to achieve robust consumption-based asset pricing that comes with power.